As it happens I had an MMS in my outbox which hadn't sent, so just resent it using Go. As far as I can tell it went, but I still don't have a BIGMMS folder.
Tried sending a photo taken from within Go (i.e. opening the camera app from the message composition screen), but don't think that worked - although I'd told Go what size image it could send, it didn't seem smart enough to shrink the image to fit. As MMS are relatively expensive for me (I send less than 1 per year, so not a priority in tariff choice) I decided that I wouldn't make multiple attempts to get it to send.
However, none of this resulted in creating a BIGMMS folder on my device (in any of the 2 open and 1 hidden folders that Go had created). I've now uninstalled Go, got rid of the folders it created, and reverted to Chomp (which I'm using at the moment, though I think its little brother Textra is better for MMS).